Optimizing Omega

S.J. Kane; M. Bartholomew-Biggs; M. Cross; M. Dewar

doi:10.1007/s10898-008-9396-5

Optimizing Omega

S.J. Kane, M. Bartholomew-Biggs, M. Cross, M. Dewar

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21 Citations (Scopus)

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Abstract

This paper considers the Omega function, proposed by Cascon, Keating & Shadwick as a performance measure for comparing financial assets. We discuss the use of Omega as a basis for portfolio selection. We show that the problem of choosing portfolio weights in order to maximize Omega typically has many local solutions and we describe some preliminary computational experience of finding the global optimum using a NAG library implementation of the Huyer & Neumaier MCS method.

Original language	English
Pages (from-to)	153-167
Journal	Journal of Global Optimization
Volume	45
Issue number	1
DOIs	https://doi.org/10.1007/s10898-008-9396-5
Publication status	Published - 2009

Keywords

portfolio selection
Omega function
MCS method

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title = "Optimizing Omega",

abstract = "This paper considers the Omega function, proposed by Cascon, Keating & Shadwick as a performance measure for comparing financial assets. We discuss the use of Omega as a basis for portfolio selection. We show that the problem of choosing portfolio weights in order to maximize Omega typically has many local solutions and we describe some preliminary computational experience of finding the global optimum using a NAG library implementation of the Huyer & Neumaier MCS method.",

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author = "S.J. Kane and M. Bartholomew-Biggs and M. Cross and M. Dewar",

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AU - Cross, M.

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PY - 2009

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N2 - This paper considers the Omega function, proposed by Cascon, Keating & Shadwick as a performance measure for comparing financial assets. We discuss the use of Omega as a basis for portfolio selection. We show that the problem of choosing portfolio weights in order to maximize Omega typically has many local solutions and we describe some preliminary computational experience of finding the global optimum using a NAG library implementation of the Huyer & Neumaier MCS method.

AB - This paper considers the Omega function, proposed by Cascon, Keating & Shadwick as a performance measure for comparing financial assets. We discuss the use of Omega as a basis for portfolio selection. We show that the problem of choosing portfolio weights in order to maximize Omega typically has many local solutions and we describe some preliminary computational experience of finding the global optimum using a NAG library implementation of the Huyer & Neumaier MCS method.

KW - portfolio selection

KW - Omega function

KW - MCS method

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JO - Journal of Global Optimization

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Optimizing Omega

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Keywords

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